On strong stationary times and approximation of Markov chain hitting times by geometric sums

Fraser Daly

doi:10.1016/j.spl.2019.02.017

On strong stationary times and approximation of Markov chain hitting times by geometric sums

Fraser Daly

Research output: Contribution to journal › Article › peer-review

2 Citations (Scopus)

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Abstract

For discrete-time, ergodic Markov chains started from stationarity, Fill and Lyzinski (2014) showed that hitting times may sometimes be represented as geometric sums. We extend this, giving explicit bounds in the approximation of hitting times by appropriately chosen geometric sums.

Original language	English
Pages (from-to)	74-80
Number of pages	7
Journal	Statistics and Probability Letters
Volume	150
Early online date	11 Mar 2019
DOIs	https://doi.org/10.1016/j.spl.2019.02.017
Publication status	Published - Jul 2019

Keywords

Geometric sum
Markov chains
Passage time
Stochastic ordering
Strong stationary time

ASJC Scopus subject areas

Statistics and Probability
Statistics, Probability and Uncertainty

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10.1016/j.spl.2019.02.017

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title = "On strong stationary times and approximation of Markov chain hitting times by geometric sums",

abstract = "For discrete-time, ergodic Markov chains started from stationarity, Fill and Lyzinski (2014) showed that hitting times may sometimes be represented as geometric sums. We extend this, giving explicit bounds in the approximation of hitting times by appropriately chosen geometric sums.",

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KW - Geometric sum

KW - Markov chains

KW - Passage time

KW - Stochastic ordering

KW - Strong stationary time

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DO - 10.1016/j.spl.2019.02.017

M3 - Article

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JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

ER -

On strong stationary times and approximation of Markov chain hitting times by geometric sums

Abstract

Keywords

ASJC Scopus subject areas

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